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Working Papers (1995), ESSEC Business School

Valuation of Interest Rate Derivatives in One-factor Interest Rate Models

QUITTARD-PINON F., PONCET Patrice

Using the martingale approach, we value explicitly European options on bonds, caps, floors, swaps, swaptions and Asian options on interest rates. We do so in the context of a one-factor model of the yield curve and either a linear or an exponential volatility structure.

QUITTARD-PINON, F. and PONCET, P. (1995). Valuation of Interest Rate Derivatives in One-factor Interest Rate Models. ESSEC Business School.